https

Make sure you're using Internet Explorer 11.  Over 2 years ago, Microsoft announced they are no longer supporting IE versions 7, 8, 9 or 10.  https://www.microsoft.com/en-us/WindowsForBusiness/End-of-IE-support  If you're stuck in a situation where you are required to use older IE versions, I am very sorry for you.

use internet explore 11 updated with last kb

OK, which version of the UTM9 firmware are you running?  Is this a site you maintain and people outside your organization are having trouble getting to?  Or is it a site you cannot access from your LAN when you're behind the firewall?  You've mentioned 2 technologies so far: the Web Application Firewall (WAF) and the Web Protection Proxy (WPP).  The WAF is used to protect a web server you are maintaining behind the Sophos.  The WPP is for protecting your LAN computers (behind the Sophos) browsers from Internet threats.  Which scenario applies to this?

people inside the company LAN network under sophos utm9 firewall with internet exploer does not work (with chrome yes but they are not enabled only
administrators)
we use the decrypt and scan for https
with the possibility to use the filtering options to manage some sites
I do not understand if the pbl is sophos, certificates or the flash plugin for this site https://www.tmdn.org/tmview/welcome

open roblox.com

Stefano Cherubini said:

I do not understand if the pbl is sophos, certificates or the flash plugin for this site https://www.tmdn.org/tmview/welcome

Hi Stefano, you might simply need to build an exception for that website.  You might be able to search the log files to a specific check that it's failing.  If you can't identify in the logs, I'd start by making a new exception rule for it's domain, skip every check possible and see if you can render the site properly.  If yes, then start turning a few of the checks for the site back onto determine which is blocking the functionality of the site.  Then you can reduce the scope of the exception to only the check that is prohibiting your view.